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R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 03 May 2010 17:33:04 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/May/03/t1272908091wfrrt8iqwun7a8x.htm/, Retrieved Mon, 03 May 2010 19:34:51 +0200

BibTeX entries for LaTeX users:

@Manual{KEY,
    author = {{YOUR NAME}},
    publisher = {Office for Research Development and Education},
    title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2010/May/03/t1272908091wfrrt8iqwun7a8x.htm/},
    year = {2010},
}
@Manual{R,
    title = {R: A Language and Environment for Statistical Computing},
    author = {{R Development Core Team}},
    organization = {R Foundation for Statistical Computing},
    address = {Vienna, Austria},
    year = {2010},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W21

Dataseries X:

» Textbox « » Textfile « » CSV «

132.8 132.5 131.4 131.4 130.7 131.5 131.2 130.1 130.5 129 128.2 128.4 127.3 127.7 127 123.9 125.4 124.6 124.5 124.8 124.1 124.2 122.8 122.3 121.1 121.7 122.2 122.2 122.7 121.7 121 119.8 120.2 116.6 116 118 117.1 116.2 113.3 114.3 113.6 113 112.9 112.7 112.5 113 111.9 110.9 109.8 108.3 109.2 109.2 108.7 109.8 110.8 110 109.6 109.5 110.8 111.6 113.1 114.3 114.1 113.8 112.6 112.7 111.5 110.7 110.4 109.7 110 111.3 109 108.2 107.2 108.7 110.3 110.3 109.5 109.5 109.4 109.6 111.3 110 109.5 110.693 109.195 108.095 108.199 106.87 105.278 108.711 111.192 109.641 109.42 109.935 111.126 110.733 110.34 111.766 111.294 111.54 112.008 111.007 114.963 112.045 110.703 108.894 107.51 111.35 112.964 115.203 115.182 115.191 112.346 110.774 113.07 111.138 109.092 107.971 107.051

Output produced by software:

Summary of computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	1 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.017298	-0.1895	0.425015
2	-0.090836	-0.9951	0.160856
3	-0.00559	-0.0612	0.475638
4	-0.155368	-1.702	0.045675
5	0.0905	0.9914	0.161749
6	-0.059527	-0.6521	0.257797
7	0.122413	1.341	0.091232
8	-0.0233	-0.2552	0.399486
9	0.008978	0.0983	0.460911
10	0.007441	0.0815	0.467583
11	-0.048821	-0.5348	0.296887
12	0.04092	0.4483	0.32739
13	-0.032683	-0.358	0.360478
14	-0.035793	-0.3921	0.347843
15	0.019283	0.2112	0.416532
16	0.027098	0.2968	0.38355
17	0.065555	0.7181	0.237039
18	0.081095	0.8883	0.188066
19	0.037848	0.4146	0.339587
20	-0.02488	-0.2726	0.392833
21	0.023649	0.2591	0.398016
22	-0.039183	-0.4292	0.334262
23	-0.097086	-1.0635	0.14484
24	0.050443	0.5526	0.290792
25	0.018076	0.198	0.421687
26	-0.037943	-0.4156	0.339205
27	-0.075594	-0.8281	0.204631
28	0.007761	0.085	0.466194
29	0.00447	0.049	0.480516
30	-0.097917	-1.0726	0.142795
31	0.129706	1.4209	0.078976
32	-0.037627	-0.4122	0.340471
33	0.018772	0.2056	0.418713
34	0.18715	2.0501	0.021266
35	0.005698	0.0624	0.475168
36	-0.002669	-0.0292	0.488362
37	-0.072989	-0.7996	0.212773
38	-0.060469	-0.6624	0.25449
39	-0.006218	-0.0681	0.472903
40	0.067634	0.7409	0.230101
41	0.097883	1.0723	0.142879
42	-0.00839	-0.0919	0.463461
43	-0.072906	-0.7986	0.213038
44	-0.106709	-1.1689	0.122373
45	-0.004473	-0.049	0.480502
46	-6.2e-05	-7e-04	0.499731
47	-0.078776	-0.8629	0.194944
48	-0.008868	-0.0971	0.461385

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.017298	-0.1895	0.425015
2	-0.091162	-0.9986	0.159991
3	-0.008958	-0.0981	0.460996
4	-0.165365	-1.8115	0.036283
5	0.085713	0.9389	0.174823
6	-0.09263	-1.0147	0.156143
7	0.145439	1.5932	0.056872
8	-0.072284	-0.7918	0.215011
9	0.078821	0.8634	0.19481
10	-0.047871	-0.5244	0.300484
11	0.028529	0.3125	0.377594
12	-0.016611	-0.182	0.427958
13	0.011317	0.124	0.450772
14	-0.07786	-0.8529	0.197702
15	0.040093	0.4392	0.330655
16	0.002779	0.0304	0.487883
17	0.080381	0.8805	0.190166
18	0.075138	0.8231	0.206043
19	0.071905	0.7877	0.21622
20	-0.008806	-0.0965	0.461658
21	0.075876	0.8312	0.203761
22	-0.047304	-0.5182	0.302641
23	-0.076288	-0.8357	0.202493
24	0.015751	0.1725	0.43165
25	0.001393	0.0153	0.493926
26	-0.064993	-0.712	0.238934
27	-0.095417	-1.0452	0.149006
28	0.011762	0.1288	0.448849
29	-0.018923	-0.2073	0.418067
30	-0.091088	-0.9978	0.160186
31	0.120572	1.3208	0.094542
32	-0.048681	-0.5333	0.297416
33	0.0548	0.6003	0.274717
34	0.165713	1.8153	0.035988
35	0.0747	0.8183	0.207405
36	-0.034821	-0.3814	0.351774
37	-0.02215	-0.2426	0.404349
38	-0.070782	-0.7754	0.219821
39	-0.015461	-0.1694	0.432896
40	0.048394	0.5301	0.2985
41	0.072671	0.7961	0.213783
42	0.004955	0.0543	0.478401
43	-0.064907	-0.711	0.239225
44	-0.063825	-0.6992	0.242899
45	0.035379	0.3876	0.349515
46	-0.047988	-0.5257	0.300039
47	-0.087368	-0.9571	0.170229
48	-0.032434	-0.3553	0.361495

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/03/t1272908091wfrrt8iqwun7a8x/1uxou1272907981.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272908091wfrrt8iqwun7a8x/1uxou1272907981.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272908091wfrrt8iqwun7a8x/2uxou1272907981.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272908091wfrrt8iqwun7a8x/2uxou1272907981.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

R code (references can be found in the software module):

if (par1 == 'Default') {
par1 = 10*log10(length(x))
} else {
par1 <- as.numeric(par1)
}
par2 <- as.numeric(par2)
par3 <- as.numeric(par3)
par4 <- as.numeric(par4)
par5 <- as.numeric(par5)
if (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'
par7 <- as.numeric(par7)
if (par2 == 0) {
x <- log(x)
} else {
x <- (x ^ par2 - 1) / par2
}
if (par3 > 0) x <- diff(x,lag=1,difference=par3)
if (par4 > 0) x <- diff(x,lag=par5,difference=par4)
bitmap(file='pic1.png')
racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))
dev.off()
bitmap(file='pic2.png')
rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF')
dev.off()
(myacf <- c(racf$acf))
(mypacf <- c(rpacf$acf))
lengthx <- length(x)
sqrtn <- sqrt(lengthx)
load(file='createtable')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,'Autocorrelation Function',4,TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'Time lag k',header=TRUE)
a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','ACF(k)','click here for more information about the Autocorrelation Function'),header=TRUE)
a<-table.element(a,'T-STAT',header=TRUE)
a<-table.element(a,'P-value',header=TRUE)
a<-table.row.end(a)
for (i in 2:(par1+1)) {
a<-table.row.start(a)
a<-table.element(a,i-1,header=TRUE)
a<-table.element(a,round(myacf[i],6))
mytstat <- myacf[i]*sqrtn
a<-table.element(a,round(mytstat,4))
a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable.tab')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,'Partial Autocorrelation Function',4,TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'Time lag k',header=TRUE)
a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','PACF(k)','click here for more information about the Partial Autocorrelation Function'),header=TRUE)
a<-table.element(a,'T-STAT',header=TRUE)
a<-table.element(a,'P-value',header=TRUE)
a<-table.row.end(a)
for (i in 1:par1) {
a<-table.row.start(a)
a<-table.element(a,i,header=TRUE)
a<-table.element(a,round(mypacf[i],6))
mytstat <- mypacf[i]*sqrtn
a<-table.element(a,round(mytstat,4))
a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable1.tab')

This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa

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